“An L2 Test Theory for Nonstationary Time Series”
Dr. Wei Biao Wu, University of Chicago

Date: Tuesday, December 02, 2014
Time: 4:00 PM – 5:00 PM
Location: 269 Everitt
Sponsor: Department of Statistics, Xiaohui Chen

Abstract:
I will discuss testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and with that a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied to assess the trend pattern in the central England temperature series. The work is joint with Ting Zhang.